Browsing ECO Working Papers by Author "BANERJEE, Anindya"

Title: Forecasting with Factor-augmented Error Correction Models Author(s): MASTEN, Igor; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI RSCAS Abstract: As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, ...

Title: Factor-Augmented Error Correction Models Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper brings together several important strands of the econometrics literature: errorcorrection, cointegration and dynamic factor models. It introduces the Factor-augmented Error Correction Model (FECM), where the ...

Title: Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, Igor Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data generation processes, to mimic different types ...

Title: The Long-Run Phillips Curve and Non-Stationary Inflation Author(s): RUSSELL, Bill; BANERJEE, Anindya Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Cointegration in Panel Data with Breaks and Cross-Section Dependence Author(s): BANERJEE, Anindya; CARRION-I-SILVESTRE, Josep Lluis Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is not taken of the presence of structural breaks in the data. We propose modifications to allow for one ...

Title: Forecasting Macroeconomic Variables for the New Member States of the European Union Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, Igor Date: 2005 Type of Publication: Working Paper Series/Report no.: ECB Working Paper

Title: Competition, the Lisbon Strategy and the EURO Author(s): BANERJEE, Anindya; RUSSELL, Bill Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Leading Indicators for Euro Area Inflation and GDP Growth Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, Igor Date: 2003 Type of Publication: Working Paper Series/Report no.: CEPR discussion paper Abstract: In this Paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our evaluation is based on using the variables in the ECB euro area model database, plus a set of similar ...

Title: A Re-interpretation of the Linear-Quadratic Model When Inventories and Sales are Polynomially Cointegrated Author(s): BANERJEE, Anindya; MIZEN, Paul Date: 2003 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: A New Look at the Feldstein-Horioka Puzzle using an Integrated Panel Author(s): BANERJEE, Anindya; ZANGHIERI, Paolo Date: 2003 Type of Publication: Working Paper Series/Report no.: CEPII discussion paper Abstract: We use a panel of 14 European countries to take a fresh look at the so-called Feldstein-Horioka puzzle on the high correlations between savings and investment observed within countries. A large literature has emerged to ...

Title: The Long-Run Relationship among Relative Price Variability, Inflation and the Markup Author(s): BANERJEE, Anindya; MIZEN, Paul; RUSSELL, Bill Date: 2002 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Inflation Measures of the Markup Author(s): BANERJEE, Anindya; RUSSELL, Bill Date: 2002 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Are There Any Reliable Leading Indicators for US Inflation and GDP Growth? Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2002 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Factor Forecasts for the UK Author(s): ARTIS, Michael J.; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2002 Type of Publication: Working Paper Series/Report no.: CEPR Discussion Paper Abstract: Time series models are often adopted for forecasting because of their simplicity and good performance. The number of parameters in these models increases quickly with the number of variables modelled, so that usually only ...

Title: A Markup Model for Forecasting Inflation in the Euro AreaI Author(s): BANERJEE, Anindya; RUSSELL, Bill Date: 2002 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Factor Forecasts for the UK Author(s): ARTIS, Michael J.; BANERJEE, Anindya; MARCELLINO, Massimiliano Date: 2001 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Some Cautions on the Use of Panel Methods for Integrated Series of Macro-economic Data Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano; OSBAT, Chiara Date: 2000 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: The Relationship Between the Markup and Inflation in the G7 Plus One Economies Author(s): BANERJEE, Anindya; RUSSELL, Bill Date: 2000 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: The Markup and the Business Cycle Reconsidered Author(s): BANERJEE, Anindya; RUSSELL, Bill Date: 2000 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Industry Structure and the Dynamics of Price Adjustment Author(s): BANERJEE, Anindya; RUSSELL, Bill Date: 2000 Type of Publication: Working Paper Series/Report no.: EUI ECO

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